Screening Shanghai-Listed Stocks by Range and Recent Price Gains

Summary

This stock screen selects securities whose daily high-low range exceeds one percent, whose ten-day price gain is positive but below 35%, and whose codes begin with 60. The article interprets the range condition as a volatility filter and the recent return band as a way to seek rising stocks without selecting the strongest recent movers. It also includes a moving-average proximity condition in its Python example, which is not stated in the opening selection rule.

The post offers formula and Python examples, but it reports no backtest results or evidence that the screen earns returns. It cautions that relying on a small set of filters can miss other relevant factors and exclude potentially attractive stocks. It suggests adding technical measures and fundamental criteria such as valuation, while recognizing that these additions would change the screen. Its explanation of the stock-code prefix as a possible indicator of company characteristics is not substantiated, so the prefix should be understood as a universe restriction rather than a demonstrated fundamental signal.

Key ideas

• The core screen requires a daily price range above one percent and a positive ten-day gain below 35 percent.
• It restricts the universe to stock codes beginning with 60.
• The Python example additionally keeps prices near the ten-day moving average.
• The post provides no performance evidence and warns that a few filters can overlook relevant information.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.